What is a copyrighted licensed software?

Copyrighted means that the software, as a piece of intellectual property, is owned by a person or organisation, who therefore retains the rights on how the software is distributed. Some software is public domain, meaning the intellectual property rights have been given up (copyrights can expire, but no software is old enough yet).

'Licensed' is just a way of saying you purchased the right to use the software. It is an important legal distinction that when you buy a game or application, you bought the 'right' to use it, you do not 'own' the software. As above, with some freeware or PD games or applications, no one owns the software anymore, so the raw code is unlicensed.